Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0896 |
| Annualized Std Dev | 0.1954 |
| Annualized Sharpe (Rf=0%) | 0.4587 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3743.0000 |
| NAs | 1.0000 |
| Minimum | -0.0896 |
| Quartile 1 | -0.0055 |
| Median | 0.0009 |
| Arithmetic Mean | 0.0004 |
| Geometric Mean | 0.0003 |
| Quartile 3 | 0.0069 |
| Maximum | 0.1038 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | 0.0000 |
| UCL Mean (0.95) | 0.0008 |
| Variance | 0.0002 |
| Stdev | 0.0123 |
| Skewness | -0.2240 |
| Kurtosis | 5.7775 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0090 |
| Gain Deviation | 0.0083 |
| Loss Deviation | 0.0093 |
| Downside Deviation (MAR=210%) | 0.0136 |
| Downside Deviation (Rf=0%) | 0.0088 |
| Downside Deviation (0%) | 0.0088 |
| Maximum Drawdown | 0.3960 |
| Historical VaR (95%) | -0.0191 |
| Historical ES (95%) | -0.0292 |
| Modified VaR (95%) | -0.0192 |
| Modified ES (95%) | -0.0334 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-05-23 | 2009-03-05 | 2010-01-13 | -0.3960 | 667 | 450 | 217 |
| 2015-07-17 | 2020-03-23 | 2021-01-11 | -0.3644 | 1382 | 1179 | 203 |
| 2011-07-08 | 2011-08-08 | 2011-12-20 | -0.1688 | 116 | 22 | 94 |
| 2010-03-24 | 2010-06-08 | 2010-09-20 | -0.1160 | 125 | 53 | 72 |
| 2014-03-05 | 2014-04-14 | 2014-06-20 | -0.1063 | 76 | 29 | 47 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2006 | NA | NA | NA | NA | 0.9 | 0.7 | 0 | 0.6 | 0.5 | -0.9 | 0 | -0.3 | 1.5 |
| 2007 | 0.6 | -0.6 | 0 | -0.3 | 0.1 | -0.5 | 0.9 | 1.1 | 1.1 | -2 | 0.1 | -1.1 | -0.7 |
| 2008 | 1.9 | -1.4 | 2.4 | 1.9 | 0.7 | 0.6 | 0.3 | -1.2 | 0.3 | 1.8 | -6.8 | 1.8 | 1.9 |
| 2009 | -1.8 | -3.5 | 0.2 | -0.2 | 0.7 | 0.5 | -0.4 | -1.3 | -1.9 | -1.1 | 1.3 | -0.8 | -8 |
| 2010 | 0.4 | 0.9 | 0.5 | -0.7 | -1.8 | -1.3 | 0.5 | 2.5 | 0 | -0.4 | 1.4 | -0.1 | 1.8 |
| 2011 | 1.4 | -0.8 | 0.9 | -0.2 | -1.6 | 1.1 | -1.4 | -1.2 | -1 | -1.6 | -0.1 | -0.2 | -4.7 |
| 2012 | 1.3 | 0.7 | 0.4 | -0.2 | -2 | 2 | -0.5 | 0 | 0.4 | 0.9 | 0 | 1.2 | 4.2 |
| 2013 | 0.7 | 0.4 | -0.4 | -2.1 | -2.1 | 0.8 | 1.1 | -0.6 | 1.3 | 0.8 | -0.1 | 0.2 | -0.1 |
| 2014 | -0.8 | -1.3 | 0.3 | 0.4 | 0.4 | 1.5 | 0 | 0.5 | -0.8 | -0.5 | -1.2 | -0.3 | -1.7 |
| 2015 | -1.8 | -0.8 | -0.9 | 1.6 | 0.1 | 0.6 | 0.8 | -2.2 | 1 | -1.3 | 1.9 | -1.1 | -1.9 |
| 2016 | -0.1 | 1.8 | 1.6 | -1.3 | 0.7 | 1.1 | 0.4 | -0.1 | 0.8 | 0.5 | -1.7 | 0.5 | 4.2 |
| 2017 | 0.9 | 1.1 | -0.5 | 0.1 | 1 | -0.3 | -1 | 0.1 | 0.9 | 0.8 | -0.1 | -0.5 | 2.4 |
| 2018 | 0.5 | -1.6 | 0.8 | 0 | 1.1 | 0.1 | 0.3 | 0.5 | -1.2 | 2.6 | 1.1 | 1.3 | 5.4 |
| 2019 | 0.4 | 1.7 | 0.2 | 0.1 | -0.8 | 0.8 | -0.2 | -0.1 | -0.6 | 0.2 | -0.1 | 0.4 | 2 |
| 2020 | -1.1 | -1.6 | -3.7 | -2.3 | -0.9 | 0.2 | -0.7 | -1.4 | -0.4 | -1 | 0.9 | 0.6 | -10.9 |
| 2021 | 0.7 | 0.6 | 0.4 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 1.8 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2006-05-05 50.2 SPY 133. 0.0088 0.008 0.0115 0.0495 0.128 0.411 0.0609 GLD 68.0 0.0076 0.0446
2 2006-05-08 50.1 SPY 132. -0.00120 0.015 0.0114 0.0455 0.130 0.417 0.0418 GLD 67.6 -0.0063 0.0368
3 2006-05-09 49.8 SPY 133. 0.002 0.0094 0.0238 0.0569 0.126 0.434 0.0457 GLD 69.7 0.0314 0.047
4 2006-05-10 49.5 SPY 133. -0.0005 0.0127 0.0217 0.0468 0.137 0.414 0.0586 GLD 70.4 0.01 0.059
5 2006-05-11 49.1 SPY 131. -0.0121 -0.0031 0.018 0.0359 0.117 0.380 0.0283 GLD 71.0 0.0092 0.0526
6 2006-05-12 48.7 SPY 129. -0.0131 -0.0248 0.0028 0.0205 0.115 0.365 0.0238 GLD 71.1 0.0013 0.046
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
